Behavioral Biases of Hard-To-Value Option Markets:Disposition Effect and Overconfidence
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === The paper follows the Kumar (2009) methodology to research into TXO,TEO and TFO in Taiwan. Using investor-level data, multiple measures of valuation uncertainty and multiple behavioral bias proxies, the investors whether exhibit stronger behavioral biases when op...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/94911534671715396716 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融所 === 98 === The paper follows the Kumar (2009) methodology to research into TXO,TEO and TFO in Taiwan. Using investor-level data, multiple measures of valuation uncertainty and multiple behavioral bias proxies, the investors whether exhibit stronger behavioral biases when options are harder-to-value in more uncertain environments. To examine the robustness of the disposition effect and overconfidence regression estimates with panel regression and sub-period. Then use time-series model to examine whether investors’ disposition effect and overconfidence are amplified when market-level uncertainty is higher.
Furthermore, use trading correlation as a proxy for other behavioral biases and follow the Kumar and Lee(2006) methodology to measure trading correlations.Examine whether the mean trading correlation is higher when options are harder- to-value in more uncertain environments.
The empirical results indicate that investors exhibit more confidence when options are harder-to-value, but do not more exhibit disposition effect when options or market- level in more uncertain environments. However the mean trading correlations are not higher when options are harder-to-value indicate the investors’ other behavioral
biases are not amplified.
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